Sources of AsymmetricShock: The Exchange Rate or other culprits?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26138077%3A_____%2F14%3A%230000701" target="_blank" >RIV/26138077:_____/14:#0000701 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Sources of AsymmetricShock: The Exchange Rate or other culprits?

Popis výsledku v původním jazyce

We analyze and quantify the determinants of medium-term real exchange rate (RER) changes. First, we discuss sources of asymmetric shocks causing exchange rate variability and the role of RER as a shock absorber or generator. Second, we use data for 21 advanced and late-transition economies to gauge the extent to which medium-term bilateral real exchange rate variability can be explained by various fundamental factors. Using Bayesian model averaging, we find that out of twenty two factors under consideration, four types of dissimilarities within a given pair of economies are likely to be included in the true model: dissimilarities as regards (i) financial development, (ii) per capita income growth, (iii) central bank autonomy and (iv) structure of the economy. A regression based on these four factors indicates that these factors explain about one third of the behavior of three-year RER variability for the whole sample and almost a half of the behavior of three-year RER variability for R

Název v anglickém jazyce

Sources of AsymmetricShock: The Exchange Rate or other culprits?

Popis výsledku anglicky

We analyze and quantify the determinants of medium-term real exchange rate (RER) changes. First, we discuss sources of asymmetric shocks causing exchange rate variability and the role of RER as a shock absorber or generator. Second, we use data for 21 advanced and late-transition economies to gauge the extent to which medium-term bilateral real exchange rate variability can be explained by various fundamental factors. Using Bayesian model averaging, we find that out of twenty two factors under consideration, four types of dissimilarities within a given pair of economies are likely to be included in the true model: dissimilarities as regards (i) financial development, (ii) per capita income growth, (iii) central bank autonomy and (iv) structure of the economy. A regression based on these four factors indicates that these factors explain about one third of the behavior of three-year RER variability for the whole sample and almost a half of the behavior of three-year RER variability for R

Druh

O - Ostatní výsledky

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-06229S" target="_blank" >GA13-06229S: Mezinárodní přenos šoků v rámci makrofinančních vazeb</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů